Financial Spillovers to Emerging Markets During the Global Financial Crisis / / Nathaniel Frank, Heiko Hesse
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| Autore: |
Frank Nathaniel
|
| Titolo: |
Financial Spillovers to Emerging Markets During the Global Financial Crisis / / Nathaniel Frank, Heiko Hesse
|
| Pubblicazione: | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Edizione: | 1st ed. |
| Descrizione fisica: | 1 online resource (22 p.) |
| Disciplina: | 332.152 |
| Soggetto topico: | Financial crises |
| Global Financial Crisis, 2008-2009 | |
| Banks and Banking | |
| Capital market | |
| Diffusion Processes | |
| Dynamic Quantile Regressions | |
| Dynamic Treatment Effect Models | |
| Economic & financial crises & disasters | |
| Emerging and frontier financial markets | |
| Finance | |
| Finance: General | |
| Financial Crises | |
| Financial Markets and the Macroeconomy | |
| Financial markets | |
| Financial Risk Management | |
| Financial services industry | |
| Financial services | |
| General Financial Markets: General (includes Measurement and Data) | |
| Interest rates | |
| Interest Rates: Determination, Term Structure, and Effects | |
| Securities markets | |
| State Space Models | |
| Stock exchanges | |
| Stock markets | |
| Time-Series Models | |
| Yield curve | |
| Soggetto geografico: | United States |
| Altri autori: |
HesseHeiko
|
| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references. |
| Nota di contenuto: | Contents; I. Introduction; II. Transmission of Spillovers to EM Countries During the Subprime Crisis: A Qualitative Overview; III. Data; Figures; 1. U.S. and EM Financial Variables; 2. U.S. and EM Financial Variables; IV. Methodology; V. Results; 3. Implied Correlations between U.S. and EM Financial Variables; 4. Implied Correlations between U.S. and EM Financial Variables; VI. Conclusion; References |
| Sommario/riassunto: | In this paper potential financial linkages between liquidity and bank solvency measures in advanced economies and emerging market (EM) bond and stock markets are analyzedduring the latest crisis. A multivariate GARCH model is estimated in order to gauge the extent of co-movements of these financial variables across markets. The findings indicate that the notion of possible de-coupling (in the financial markets) had been misplaced. While EM stock markets reached their peak in the last quarter of 2007, interlinkages between funding stress and equity markets in advanced economies and EM financial indicators were highly correlated and have seen sharp increases during specific crisis moments. |
| Titolo autorizzato: | Financial Spillovers to Emerging Markets During the Global Financial Crisis |
| ISBN: | 1-4623-1339-6 |
| 1-4527-9951-2 | |
| 1-282-84319-2 | |
| 1-4518-7251-8 | |
| 9786612843198 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910825975803321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
IMF Working Papers; Working Paper ; ; No. 2009/104